loss model - Bosna RE
loss model - Bosna RE
loss model - Bosna RE
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Simple Stochastic Model for Large Losses<br />
We have estimated the parameters of a<br />
frequency-severity-<strong>model</strong>:<br />
1. Model threshold: 200.000 EUR<br />
2. Frequency:<br />
average 5,4 <strong>loss</strong>es (above 200.000 EUR) per year<br />
Poisson-distribution (not shown here)<br />
3. Severity (<strong>loss</strong> amount)<br />
Pareto-distribution<br />
Pareto-alpha: 2,3.<br />
In this <strong>model</strong> even very large <strong>loss</strong>es are possible, e.g. <strong>loss</strong><br />
amounts above 5 mio EUR.<br />
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